Gaussian likelihood estimation for nearly nonstationary AR(1) processes

DOI10.1214/AOS/1176348241MaRDI QIDQ806871zbMATH OpenOpenAlexFDO

Authors Dennis D. Cox

Publication date 1991

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176348241

zbMATH Keywords

conditional maximum likelihoodleast squares estimatorGaussian maximum likelihood estimatorasymptotic mean squared errorcontinuous-time Ornstein- Uhlenbeck processnearly nonstationary asymptotic modelthree-parameter first-order autoregressive model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Central limit and other weak theorems (60F05)

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Cited in

(17)

• A likelihood based estimator for vector autoregressive processes
• Gaussian estimation of first order time series models with Bernoulli observations
• A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
• Maximum quasilikelihood estimation for a simplified NEAR(1) model.
• New statistical investigations of the Ornstein-Uhlenbeck process.
• Asymptotic behaviour of the least squares estimator of the mean of AR(1) models
• Adjusted estimates and Wald statistics for the AR(1) model with constant
• Maximum likelihood estimation for a nearly random walk model
• On the distribution of the nearly unstable AR(1) process with heavy tails
• Bayesian prediction for stochastic processes: theory and applications
• Robust estimators and probability integral transformations
• First‐Order Autoregressive Processes with Heterogeneous Persistence
• Asymptotic properties of the maximum likelihood estimate in the first order autoregressive process
• scientific article; zbMATH DE number 4074185 (Why is no real title available?)
• APPROXIMATION FOR DENSITY OF ESTIMATORS IN GAUSSIAN AR (1) PROCESS
• Second-order continuous-time non-stationary Gaussian autoregression
• Asymptotic accuracy of the least-squares estimates in nearly nonstationary autoregressive models

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